This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports...

interest free banking law at 1363 was implemented in the banking system in iran. one of the main goals of this law was eliminating usury from monetary system, and utilization from non-usury credit impact on economic growth through preferring money contribution in the capital. this paper uses data from years 1363 to 1386 and implementing herfindahl-hirschman index, evaluated and ranked concentra...

In this paper the Financial Development Index (FDI) is used to rank 57 of the world’s leading financial systems. Its calculation is based on the following 7 economic pillars: (1) Institutional environment, (2) Business environment, (3) Financial stability, (4) Banking financial services, (5) Non-banking financial services, (6) Financial markets, and (7) Financial access. Pillar (4) is construct...

The present study is being contemplated with the objective of studying the degree of stock market integration. In this study, month-wise average prices of BSE-Sensex, NYSE, NASDAQ, S&P500, HangSeng, Nikkei225, SSE Composite index and FTSE100 have been selected. Multiple Correlations has been computed for the select stock market indices. Statistical Significance of the correlation has been teste...

Investing, buying or selling on the stock exchange demands data analytical expertise and skill. Because market is so dynamic, it takes modelling to predict prices accurately. Machine learning can currently process forecast with high accuracy. We proposed using Long-Short Term Memory (LSTM) algorithm model anticipate prices. This study's primary goal assess machine algorithm's accuracy in foreca...

Abstract This article aims to examine the transmission of return and volatility spillover from banking industry other industries in Pakistan. The study uses daily stock prices 2005 2018 financial non‐financial sectors listed at Pakistan exchange. KSE‐100 index is used as a basis for selection he companies. ARMA‐GARCH mean model measure spillover. time‐varying conditional correlation asymmetric ...